The Relationship Of Stock Prices And Macroeconomic Variables Revisited PDF Download
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Author | : Muhammad Akbar |
Publisher | : |
Total Pages | : 8 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download The Relationship of Stock Prices and Macroeconomic Variables Revisited Book in PDF, ePub and Kindle
The study examines the relationships between the KSE100 index and a set of macroeconomic variables over sampling period in January 1999 to June 2008. Co-integration, Granger causality and error correction tests were used to analyze the relationship between stock prices (KSE100 index) and macroeconomic variables. The findings from the co-integrating tests suggested that stock prices and macroeconomic variables were co-integrated and that at least a uni-directional causality exists between the two sets of variables. The results further suggested that stock prices were positively related with money supply and short term interest rates and negatively related with inflation and foreign exchange reserves.
Author | : Deepa Mangala |
Publisher | : |
Total Pages | : 11 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Revisiting the Dynamic Relationship Between Macroeconomic Fundamentals and Stock Prices Book in PDF, ePub and Kindle
The relationship between stock prices and macroeconomic variables varies across countries, time periods, datasets used, and the frequency of data used. Thus, an in-depth study to reinvestigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansen's cointegration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen cointegration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.
Author | : Kudzanai Chakona |
Publisher | : GRIN Verlag |
Total Pages | : 124 |
Release | : 2022-11-07 |
Genre | : Business & Economics |
ISBN | : 3346756874 |
Download Changes in Macroeconomic Variables and Their Impact on Stock Price Indices. A Case Study of the Financial Times Stock Exchange (FTSE) and Johannesburg Stock Exchange (JSE) Indices Book in PDF, ePub and Kindle
Research Paper (undergraduate) from the year 2017 in the subject Business economics - Investment and Finance, Birmingham City University, course: MSc Accountancy and Finance (ACCA), language: English, abstract: The purpose of this study is to analyse the changes in macroeconomic variables and evaluate the impact on a company’s stock prices, by examining the impact of changes macroeconomic variables, determining which macro-economic variables that have the least and most impact on stock prices and also suggest ways in which the impact on the macroeconomic variables on stock prices can be hedged against using agricultural futures, metal futures or a risk-free asset. The study will use five econometric models to test this impact, these include the Granger Causality test, Johansen Co-Integration test, Vector Error Model, Walt Test statistic, Multiple Regression Model. A review of a number of academic literature by notable analysis for both developed and developing markets will be provided. The FTSE share price index will be used in the study to represent the developed markets and the JSE share price index will be used in the study to represent the developing markets.
Author | : Hsien Hui Sim |
Publisher | : |
Total Pages | : 102 |
Release | : 2000 |
Genre | : |
ISBN | : |
Download The Relationship Between Stock Prices and Macroeconomic Variables in Selected Asian Markets Book in PDF, ePub and Kindle
Author | : Dennis Sauert |
Publisher | : GRIN Verlag |
Total Pages | : 29 |
Release | : 2010-10 |
Genre | : Business & Economics |
ISBN | : 3640720652 |
Download Do MacRoeconomic Variables Have an Effect on the Us Stock Market? Book in PDF, ePub and Kindle
Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Author | : Shahzad Anjum |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 64 |
Release | : 2012-04 |
Genre | : |
ISBN | : 9783848433759 |
Download MacRoeconomic Variables and Stock Return Volatility Book in PDF, ePub and Kindle
The increasing importance of Stock markets around the world has recently opened a new avenue of research into the relationships between Stock Market and Macroeconomic Variables. It is now a highly debatable area that stock market contributes to economic growth or the other way economic growth contributes to stock market. Researchers continuously make efforts on defining the relationship of stock market and macroeconomic variables. It has now become more difficult to define the relationships between them in the context of increased scarcity of resources, bilateral and multilateral free trade agreements, economic crises, rapidly changing political scenarios and high uncertainty and risks due to world wide terrorist activities. This book provides an insight into the stock market of Pakistan with special focus on macroeconomic variables like inflation, GDP etc effecting the Karachi Stock Exchange (KSE).
Author | : Lamin Leigh |
Publisher | : International Monetary Fund |
Total Pages | : 48 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : |
Download Stock Market Equilibrium and Macroeconomic Fundamentals Book in PDF, ePub and Kindle
Recently, there has been a resurgence of research interest in the role played by stock markets in developing countries. The International Finance Corporation (IFC) in Washington has set up the Emerging Markets Study Group particularly devoted to the understanding of the relationship between the development of stock markets and the functioning of financial intermediaries and its overall effect on growth. This paper examines the efficiency characteristics of the Stock Exchange of Singapore (SES) and its role in the economy.
Author | : Vanita Tripathi |
Publisher | : |
Total Pages | : 29 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Long Run Relationship Between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets Book in PDF, ePub and Kindle
This paper comprehensively examines the long run relationship between aggregate stock prices and select macroeconomic factors (i.e., GDP, Inflation, Interest Rate, Exchange Rate, Money Supply and International Oil Prices) in the emerging BRICS markets over the period 1995 to 2014 using quarterly data. To assess the impact of global financial crisis on this relationship, we consider two sub periods viz., a Pre Crisis period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error Correction Mechanism (VECM) are applied. Overall, we find that there is unidirectional long run causality from Stock prices to GDP, Inflation & Interest Rate. A bidirectional long run causal relationship of Stock prices is found with Money Supply and Oil Prices. Also, the long run granger causal relationship differs significantly between pre and post crisis periods for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium relationship between BRICS Stock prices and select Macroeconomic Factors (except Inflation and Oil Prices). There was no major difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global financial crisis has led to greater long run integration of stock market with the real economy. VECM results indicate that error correction to restore equilibrium is more in stock market than in macroeconomic factors. Thus, in times of any destabilisation or disequilibrium in long run the real economy leads the stock market to a new equilibrium. These findings, besides augmenting the empirical literature and knowledge domain on the topic, have significant implications for policy makers, regulators, academicians, researchers and investment community particularly in emerging markets.
Author | : Sisangile Nduna |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download The Relationship Between Stock Market and Macroeconomic Policy Variables Book in PDF, ePub and Kindle
Author | : Shaoying Chang |
Publisher | : |
Total Pages | : 228 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download The Relationship Between Stock Market and Macroeconomic Variables Book in PDF, ePub and Kindle